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$4.

32
Present value

t0 0.5
t1 0.5
t2 0.5
t3 0.5
t4 0.5
t5 0.5
t6 0.5
t7 0.5
t8 0.5
t9 0.5
t10 0.5
t11 0.5
t12 0.5
t13 0.5
t14 0.5
t15 0.5
t16 0.5
t17 0.5
t18 0.5
t19 0.5
t20 0.5

Ejercicio 2

Caso 1 0.12

t0 -1000 -900
t1 -1000 -900
t2 -1000 -900
t3 -1000 -900
t4 -1000 -900
t5 -1000 -900
t6 1000 900
($3,604.78) ($3,604.78)
Ejercicio 3

s1 6.3% anual
s2 6.9% anual

¿tasa de descuento en d(0,2)? 0.1111111111

Ejercicio 4

Spot y forward rates

Spot rates
s1 6.3% anual
s2 6.9% anual

forward rate f(1,2) 1.142761


1.063
1.07503387 7.5%
1 Term structure of interest rates and swap valuation
Suppose the current term structure of interest rates, assuming annual compounding,
is as follows:
s1 s2 s3 s4 s5 s6
7.00% 7.30% 7.70% 8.10% 8.40% 8.80%
What is the discount rate d(0,4)? (Recall that interest rates are always quoted on an
annual basis unless stated otherwise.)

Please submit your answer rounded to three decimal places. So for example, if your
answer is 0.4567 then you should submit an answer of 0.457.

d(0,4) 0.732

2 Swap Rates
Suppose a 6-year swap with a notional principal of $10 million is being
configured. What is the fixed rate of interest that will make the value
of the swap equal to zero. (You should use the term structure of interest rates from
Question 1.)

Please submit your answer as a percentage rounded to two decimal places. So for
example, if your answer is 4.567% or equivalently 0.04567, then you should submit
an answer of 4.57.
1 2 3 4 5 6
s1 s2 s3 s4 s5 s6
7.00% 7.30% 7.70% 8.10% 8.40% 8.80%
d(0,i)
0.9345794393 0.868561462 0.800484432 0.73231381 0.668118641 0.602874102

d(0,M) 0.602874102

r 0.397125898
4.606931886

r= 8.62%

3 Hedging using futures


Suppose a farmer is expecting that her crop of oranges will be ready for
harvest and sale as 150,000 pounds of orange juice in 3
months time. Suppose each orange juice futures contract is for 15,000
pounds of orange juice, and the current futures price is F0=118.65 cents-per-pound.
Assuming that the farmer has enough cash liquidity to fund
any margin calls, what is the risk-free price that she can guarantee herself.

centavos por
F0 118.65 libra
K 17797500
T 0.25 AÑO

4 Minimum variance hedge


Suppose a farmer is expecting that her crop of grapefruit will be ready for
harvest and sale as 150,000 pounds of grapefruit juice in 3
months time. She would like to use futures to hedge her risk but unfortunately there

are no futures contracts on grapefruit juice. Instead she will use orange juice futures.
Suppose each orange juice futures contract is for 15,000
pounds of orange juice and the current futures price is F0=118.65 cents-per-pound.
The volatility, i.e. the standard deviation, of the prices of
orange juice and grape fruit juice is 20% and 25%, respectively,
and the correlation coefficient is 0.7. What is the approximate number
of contracts she should purchase to minimize the variance of her payoff?

Please submit your answer rounded to the nearest integer. So for example, if your
calculations result in 10.78 contracts you should submit an answer of 11.

S 0.25
F 0.2
P 0.7

N= 9

point 5.
Call Options
Consider a 1-period binomial model with R=1.02, S0=100,

u=1/d=1.05. Compute the value of a European call option on the stock

with strike K=102. The stock does not pay dividends.


Please submit your answer rounded to two decimal places. So for example, if your
answer is 3.4567 then you should submit an answer of 3.46.
R = 1.02; 1.02
S0 = 100.00; 100
D = 1.05; 1.05 0.952380952
U = 1.00; 1
K = 102.00; 102

28.5
uS0 = U * S0; 14.10891089
dS0 = D * S0; 15.89108911
Cu = uS0 - K;
Cd = 0;
H = ( ( Cu - Cd ) /
( uS0 - dS0 ) );

HdS0 = H * dS0;
PV = ( ( HdS0 / ( 1
+ R ) ) );
HS0 = H * S0;
C = HS0 - PV;
return C;
}
4.606931886